000			03844cam a2200421 i 4500
005			20221101224924.0
008			080530s2008 ne a b 001 0 eng d
010			_a 2008000470
011			_aBIB MATCHES WORLDCAT
020			_a0750669195 _qalk. paper
020			_a9780750669191 _qalk. paper
035			_a(ATU)b11347466
035			_a(OCoLC)190785256
040			_aDLC _beng _erda _cDLC _dYDXCP _dBAKER _dBTCTA _dC#P _dBWX _dBWK _dATU
050	0	0	_aHG106 _b.L484 2008
082	0	0	_a332.02855133 _222
100	1		_aLevy, George, _eauthor. _91047041
245	1	0	_aComputational finance using C and C / _cGeorge Levy.
264		1	_aAmsterdam ; _aBoston : _bElsevier, _c[2008]
264		4	_c©2008
300			_axii, 370 pages : _billustrations ; _c24 cm.
336			_atext _btxt _2rdacontent
337			_aunmediated _bn _2rdamedia
338			_avolume _bnc _2rdacarrier
490	1		_aQuantitative finance series
490	1		_aElsevier finance
500			_aSeries from jacket.
504			_aIncludes bibliographical references (pages 355-360) and index.
505	0	0	_g1. _tOverview of Financial Derivatives -- _g2. _tIntroduction to Stochastic Processes -- _g2.1. _tBrownian Motion -- _g2.2. _tA Brownian Model of Asset Price Movements -- _g2.3. _tItos's Formula (or lemma) -- _g2.4. _tGirsanov's Theorem -- _g2.5. _tIto's Lemma for Multi-asset Geometric Brownian Motion -- _g2.6. _tIto Product and Quotient Rules -- _g2.7. _tIto Product in n Dimensions -- _g2.8. _tThe Brownian Bridge -- _g2.9. _tTime Transformed Brownian Motion -- _g2.10. _tOrnstein Uhlenbeck Bridge -- _g2.11. _tThe Ornstein Uhlenbeck Bridge -- _g2.12. _tOther Useful Results -- _g2.13. _tSelected Problems -- _g3. _tGeneration of Random Variates -- _g3.1. _tIntroduction -- _g3.2. _tPseudo-random and Quasi-random Sequences -- _g3.3. _tGeneration of Multivariate Distributions: independent variates -- _g3.4. _tGeneration of Multivariate Distributions: Correlated Variates -- _g4. _tEuropean Options -- _g4.1. _tIntroduction -- _g4.2. _tPricing Derivatives Using A Martingale Measure -- _g4.3. _tPut Call Parity -- _g4.4. _tVanilla Options and the Black Scholes Model -- _g4.5. _tBarrier Options -- _g5. _tSingle Asset American Options -- _g5.1. _tIntroduction -- _g5.2. _tAproximations for Vanilla American Options -- _g5.3. _tLattice Methods for Vanilla Options -- _g5.4. _tGrid Methods for Vanilla Options -- _g5.5. _tPricing American Options Using A Sthochastic Lattice -- _g6. _tMulti-Asset Options -- _g6.1. _tIntroduction -- _g6.2. _tThe Multi-Asset Black Scholes Equation -- _g6.3. _tMulti-dimensional Monte Carlo Methods -- _g6.4. _tIntroduction to Multi-dimensional Lattice Methods -- _g6.5. _tTwo Asset Options -- _g6.6. _tThree Asset Options -- _g6.7. _tFour Asset Options -- _g7. _tOther Financial Derivatives -- _g7.1. _tIntroduction -- _g7.2. _tInterest Rate Derivatives -- _g7.3. _tForeign Exchange Derivatives -- _g7.4. _tCredit Derivatives -- _g7.5. _tEquity Derivatives -- _g8. _tC# Portfolio Pricing Application -- _g8.1. _tIntroduction -- _g8.2. _tStoring and Retrieving the Market Data -- _g8.3. _tThe PricingUtils Class and the Analytics_MathLib -- _g8.4. _tEquity Deal Classes -- _g8.5. _tFX Deal Classes -- _gAppendix A. _tThe Greeks for Vanila European Options -- _gAppendix B. _tBarrier Option Integrals -- _gAppendix C. _tStandard Statistical Results -- _gAppendix D. _tStatistical Distribution Functions -- _gAppendix E. _tMathematical Reference -- _gAppendix F. _tBlack-Scholes Finite-Difference Schemes.
588			_aMachine converted from AACR2 source record.
650		0	_aFinance _xMathematical models _9370807
830		0	_aQuantitative finance series. _91045492
830		0	_aElsevier finance. _91059649
907			_a.b11347466 _b11-07-17 _c27-10-15
942			_cB
945			_a332.02855133 LEV _g1 _iA427476B _j0 _lcmain _o- _p$102.48 _q- _r- _s- _t0 _u0 _v0 _w0 _x0 _y.i12733544 _z29-10-15
998			_ab _ac _b06-04-16 _cm _da _feng _gne _h0
999			_c1185445 _d1185445